NGL Options History — April 2016

In April 2016, NGL traded between $7.23 and $14.04. ATM implied volatility averaged 79.4%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 11.7% (HV 20d: 91.0%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2016-04-28: Highest Volume — 17,885 contracts
  • 2016-04-21: Largest IV spike — 49.8% change
  • 2016-04-12: Highest IV Rank — 59.4%
  • 2016-04-01: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.76$7.23$14.04$7.23$13.00
Max Pain$9.05$7.50$12.50$7.50$12.50
ATM IV79.4%60.0%91.5%90.0%78.0%
Expected Move22.4%17.2%25.8%25.8%22.4%
HV 20d91.0%58.0%106.5%106.4%101.1%
HV 60d130.8%115.6%156.9%156.9%125.3%
IV Rank49.7%34.4%59.4%58.2%48.7%
IV Percentile65.8%56.3%74.6%73.8%62.7%
Term Structure-3.6%-16.9%7.4%-7.4%-1.3%
VWIV80.9%70.1%91.4%89.8%83.3%
Skew 25d13.4%4.5%32.1%9.9%20.3%
Skew 10d31.0%10.0%48.7%16.1%45.6%
Call IV 25d73.2%59.6%80.0%80.0%72.1%
Put IV 25d86.6%77.1%98.1%89.9%92.5%
Bid-Ask Spread %47.2413.6380.5913.6346.41
Gamma HHI0.420.240.850.240.85
Net GEX68.1K-12.2K522.3K1.1K522.3K
Net DEX-751.3K-4.7M1.2M1.1M-4.4M
Net VEX-13.2K-35.1K-8.0K-8.1K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.193.872.252.17
Total Volume3,728.0951,16617,8851,5654,068
Total OI13,998.3337,30335,77810,52235,778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$7.23$7.5090.0%25.8%106.4%58.2%89.8%9.9%-7.4%1.1K1.1M-8.1K2.2513.63N/AN/A4811,0845,5414,981
2016-04-04$7.25$10.0085.9%21.6%106.5%54.9%79.4%11.3%5.0%2.1K1.1M-8.0K2.4350.23N/AN/A5011,2175,6424,990
2016-04-05$7.30$10.0085.4%22.8%103.9%54.5%76.9%32.1%0.0%-5451.2M-8.2K1.8751.25N/AN/A5521,0335,6885,217
2016-04-06$7.58$7.5081.8%23.5%100.3%51.7%82.0%21.8%-2.7%561.1M-8.3K1.6080.59N/AN/A5909425,7385,247
2016-04-07$7.42$7.5082.0%23.3%100.4%51.8%82.5%15.4%0.6%1.1K1.1M-8.3K1.2839.59N/AN/A7269285,8285,244
2016-04-08$7.88$7.5080.0%23.3%103.0%50.2%86.0%12.8%-14.3%3.3K687.4K-8.7K1.1743.54N/AN/A8049425,9505,301
2016-04-11$7.81$7.5086.4%23.7%92.8%55.3%83.8%10.8%-8.0%4.3K577.8K-8.2K1.3258.55N/AN/A7289625,9975,327
2016-04-12$8.28$7.5091.5%24.2%91.1%59.4%78.4%15.0%-16.9%2.2K197.9K-8.1K2.2062.13N/AN/A6141,3486,0335,354
2016-04-13$8.59$7.5080.9%23.2%88.2%51.0%77.8%12.0%-9.3%-2.8K59.5K-8.3K1.6257.23N/AN/A7311,1866,1015,458
2016-04-14$8.44$7.5076.9%22.0%82.2%47.8%77.7%9.9%7.4%-4.6K-21.0K-8.6K1.2766.31N/AN/A5136536,1525,709
2016-04-15$8.29$7.5079.8%22.9%73.4%50.1%91.4%14.9%-5.0%-4.2K90.7K-8.6K0.8341.51N/AN/A7456156,1425,709
2016-04-18$8.50$7.5079.0%22.6%70.2%49.4%80.0%10.1%-13.7%-3.8K225.9K-8.1K2.8627.25N/AN/A4891,3993,4083,895
2016-04-19$8.88$7.5064.1%18.4%58.0%37.7%80.7%4.5%3.0%-12.2K213.1K-9.3K0.9948.79N/AN/A8818703,4924,901
2016-04-20$9.41$7.5060.0%17.2%60.4%34.4%83.2%8.3%2.2%105-206.8K-10.3K1.6829.11N/AN/A4848133,9755,095
2016-04-21$10.76$7.5089.9%25.8%70.5%58.1%85.0%18.7%-6.8%8.6K-1.3M-11.1K0.8926.71N/AN/A1,5801,4094,1835,162
2016-04-22$13.45$10.0082.5%23.6%101.3%52.2%77.9%13.9%-8.1%22.6K-4.0M-13.5K0.5942.59N/AN/A8,4024,9814,9825,971
2016-04-25$13.07$12.5074.8%21.4%101.3%46.1%78.3%8.7%0.7%123.6K-1.8M-20.1K1.9542.98N/AN/A1,6453,21211,5828,919
2016-04-26$13.99$12.5071.4%20.5%102.1%43.4%74.1%10.9%3.2%182.0K-2.7M-23.1K0.5259.12N/AN/A5,6592,95311,2649,141
2016-04-27$14.04$12.5078.0%22.4%98.6%48.7%79.7%12.8%-6.3%289.3K-4.7M-27.7K3.8748.93N/AN/A7522,91315,1329,124
2016-04-28$13.83$12.5068.4%19.6%99.3%41.0%70.1%8.0%1.2%295.9K-4.3M-27.1K0.1955.64N/AN/A15,0422,84315,3909,222
2016-04-29$13.00$12.5078.0%22.4%101.1%48.7%83.3%20.3%-1.3%522.3K-4.4M-35.1K2.1746.41N/AN/A1,2822,78626,4899,289